فصلنامه دانش سرمایه گذاری
پیاپی 49 (بهار 1403)

In the present study a new total uncertainty criterion in Tehran Stock Exchange was estimated and the impact of macroeconomic variables on this uncertainty was addressed. Risk filtering with an approach to GDFM was first used to detect specific component of 25 time series of the main indices of the Tehran Stock Exchange over 10 years. In the next step, the conditional volatility of the remaining time series’ specific components were estimated using Stochastic volatility (SV) model and finally conditional volatility simulated using Markov chain Monte Carlo (MCMC) approach was averaged to obtain total uncertainty of the Tehran Stock exchange. The ARDL results showed that Tehran Stock Exchange uncertainty is dependent on independent variables such as inflation rate, banks' real interest rate, exchange rate in free Exchange market, liquidity, tax revenue and oil price. According to the results, however, no significant correlation exists between unemployment rate and stock market uncertainty.

Recent empirical research has found that when a firm releases its earnings report earlier than expected, its stock price rises, on average, while if the report is late, its stock price declines. The analysis here focuses on two alternative explanations for these findings, each based on the premise that some firms with unfavorable earnings increase their reported income through earnings management. In one case earnings management necessitates a reporting delay, while in the other a delay is caused by the manager’s desire to first observe other firms’ earnings. Both cases lead to market reactions consistent with the empirical findings.

The purpose of this research is to model Value-at-Risk (VaR) of portfolio with EVT-Pair-Copulas approach. In the financial literature, a significant amount of empirical studies have been done on the characteristics of financial assets returns and researchers have found a set of stylized facts about this subject. In this regard leptokurtic, left-skewed, weak autocorrelation, volatility clustering, and heteroscedasticity can be mentioned. Any estimation of risk without considering these characteristics or using unrealistic assumptions about financial assets returns increases the probability of failure in the risk management process. For this purpose, at first, the marginal distributions of returns are obtained using extreme value theory (EVT). Concerning characteristics of financial assets returns and also the primary filter to apply EVT, we use heteroscedasticity models for the marginal distributions of assets. Then the structure of the dependence between different stocks is estimated by using C-Vine, D-Vine, and R-Vine pair copula models. Afterward, the VaR of portfolio is estimated using the Monte Carlo simulation method. The final results show that the model with GARCH marginal distribution and R-Vine pair copula has been able to achieve the best performance among rival models at 95% confidence level.

Integrated marketing communications means the design, development and implementation of various programs regarding the use of a combination of methods and tools of marketing communications in a coherent way to influence the audience and attract them to the organization and empowers the company. Acquisition and validation of the integrated marketing communication model in Tehran Stock Exchange has been done using a survey method. The statistical population of this study: 386 shareholders of Tehran Stock Exchange were selected using Morgan's table by available sampling method and the necessary information was collected from a questionnaire. To evaluate the fit of the proposed model, the structural equation modeling method with partial least squares approach has been used with Smart PLS software. Partial results and second-order confirmatory factor analysis using second-order confirmatory factor analysis software showed that all observable variables had a factor load higher than 0.70 on their corresponding latent variable and were significant. All variables have been reported above 0.5, which indicates the convergent validity of the model variables and the redundancy coefficient in all variables was positive and approximately 0.35, indicating the appropriate quality of the measurement model and it can be concluded that the model has the ability to predict Has. This means that marketing communication methods and tools have a positive and significant effect on the integration of marketing communications and the integration of marketing communications has a positive and significant effect on the effectiveness of marketing communications.

The purpose of this study is to model the default risk correlation in the financial network based on the reduced model. In this study, we focus on the spread of default in the financial network and examine the effect of financial system heterogeneity on the stability of the financial system, and finally, by implementing intervention policies, we offer suggestions to reduce risks and rebuild the network. This research is among the applied researches. The statistical sample of the studied information is 407 companies listed on the Tehran Stock Exchange in the period of 1393-1398. In order to test the relationship between variables and the significance of the model, regression analysis and MATLAB software was used for modeling. Research findings show that the companies that have the most contact with network members will have the greatest impact on network instability. The results showed that the increase in the dispersion of interdependencies of receivables and liabilities, to the depth of 5 relationships in companies, has a negative effect on the stability of the financial system and the high variance of positions and the degree of financial epidemic by increasing both epidemic range and probability

The banking industry, as one of the most important sectors of the economy, plays a very important role in attracting and directing depositors, providing services to people and participating in economic and social development, and in this way, it faces many risks that are particularly important to manage and control. One of the important steps for management of the risk is determination of the factors affecting on it. The purpose of the study is to present a dynamic model for bank liquidity risk management. For this purpose, system dynamics methodology has been used to find the risk-generating structure and provide an effective solution to manage it. In this method, the stimulation of different scenarios is possible by providing a mathematical model. In this regard, the results of the implementation of the four decision-making scenarios on the model were simulated and analyzed. The results show that decreasing the legal deposit and deferred loans and increasing the deposit attraction will affect on reducing banks' liquidity risk.

Agency theory mainly refers to the conflict of interests between management and ownership that managers may behave differently in investing despite contract incentives. Accordingly, in the present article, while examining the behavioral financial concepts, the behavioral portfolio theory is explained and then the effect of managers' motivation on the selection of investment portfolio is evaluated in the framework of prospect theory. In the present study, ten-year data on stock index yield and cash return Bahadar has been used from the beginning of 1389 to the end of 1398 and while separating test data into two parts of test and evaluation data based on quarterly returns of the first seven years, the proposed behavioral portfolio based on motivation and vision theory and calculation of returns and risk for 81 The proposed portfolio for the next three years is examined. The statistical test of the research hypotheses at an error level of 5% indicates that although the yield of the resulting portfolio was not significantly different between the classical and behavioral models, the risk of the behavioral financial portfolio was less than the classical portfolio

Today, start-ups play an important role in the economic growth of developed countries, and in the meantime, this type of business can play a decisive role in the realization of a resilient economy and the establishment of appropriate methods of economic defense. Accordingly, in the present study, we seek to answer the question of how investing in start-ups helps to achieve a resilient economy and economic defense? The present research is applied in terms of purpose and uses the qualitative research method in the form of structured foundation data theory. For this purpose, based on the analysis of in-depth interviews conducted with 11 managers and experts of start-up businesses, the process of the phenomenon under study was discovered. Data analysis was performed based on open, axial and selective coding methods. The model obtained from this research shows that the main category that is the common chapter between start-ups and resistance economics is the tendency towards knowledge-based economics. Among the causal factors influencing this process include the components of business owner mentality, inward looking, value-oriented model, risk-taking and teamwork; Environmental factors including government, media, academia and social environment; Intermediate or contextual factors including networking, culture, government institutions, human capital, education system and social capital; Strategies and actions include financing, management consulting, accelerators, entrepreneurial intent and productivity that lead to the creation of economic and defense value as well as increased economic resilience.

The purpose of the present study is to identify an efficient model for resilience of Iranian Free Zones in order to promote the national economy. The research method is descriptive survey. The statistical population of the study consisted of 214 elites and experts related to science, experience and field of activity. To answer the research question about what is the appropriate model of resilience of free zones, Delphi method was first identified according to experts related to the subject, free zones development factors and its indices and based on this, a final questionnaire was prepared. Five political, legal, infrastructure, executive policies, and strategic orientations were endorsed. In the next step, the questionnaire was given to experts. The results were analyzed in the same way by factor analysis and LISREL software. Structural model analysis showed that political factors, strategic orientations and executive policies have a direct and significant effect on resilience of free zones in Iran

Strong brands bring numerous benefits for both the companies and their customers such as decreasing purchasing risk and searching cost and increasing the likelihood of repurchasing. It is not presented an applied model for determining the price of this asset in Iran, especially in terms of merger and acquisition. The purpose of this study is to develop a model for pricing brand value in Iran’s capital supply companies in terms of marketing strategies of merger and acquisition. The current study is qualitative research which is done by conducting grounded theory in MAXQDA software. Needed data were gathered from interviews and panel sessions with all the 21 pricing experts in capital supply companies during the year 2018, and were analyzed to extract the variables of the model of brand pricing to Rial. After that, open codes were categorized into 5 main categories and 2 sub-categories titled as: communication and performance environmental factors, marketing, brand, performance (financial and non-financial), and corporate audit reports. Research findings; in addition, has developed an operational brand pricing model for Iran’s semi-public economy that is unprecedented in other studies.

One of the key components of contracts is the associated charges. This paper studies types of costs in buyback and the new petroleum contracts for the first time. Buyback contracts are financially comprised of capital expenditure, non-capital expenditure, project’s financing cost, operating cost and remuneration. The most important difference between the new petroleum contracts and the buyback contracts is the longer duration of the new petroleum contracts as well as the presence of the contractor during the period of operation. The financial structure of these contracts is comprised of government revenue and oil cost and the oil cost is comprised of direct capital expenditure, indirect cost, cost of money, operating cost and remuneration. Unlike the buyback contracts, direct capital expenditure in the new petroleum contracts has no specified ceiling from the outset and it is determined on an annual basis in consideration of the behavior of reservoir and market conditions (inputs). Cost of money has been provisioned in the new petroleum contracts for project financing and this item is defined in the buyback contracts as “bank charge”. In contrast to the buyback contracts in which all direct and indirect expenses incurred by contractor were subject to interest, in the new petroleum contracts, only indirect expenses and delay in repayment of expenses on due date are subject to interest.

According to the managerial entrenchment hypothesis, uncertainty about government policies (such as taxation and labor laws) is expected to increase significantly during the years of national elections in companies with a larger workforce, which ultimately affects inefficiency. Labor investment will be. The purpose of this study is to investigate the effect of political uncertainty on the labor investment inefficiency in firms listed on the Tehran Stock Exchange. In this regard, 140 companies (980 year-company observation) listed on the Tehran Stock Exchange during the period 2012 to 2018 have been reviewed. In order to test the research hypotheses, the multiple linear regression model was used using panel data. The results of this study show that during the years of national elections, the labor investment inefficiency has increased. In other words, there is a significant negative relationship between political uncertainty and labor investment inefficiency. These results indicate the importance and effectiveness of political uncertainty in labor investment.

Thus, the analysis of the roots of technical interest rates, types of models for determining technical interest rates and identification of variables that should be considered in determining it and how and quality of monitoring it, has been done using the documentary method to the governing frameworks. Then, based on the results, a questionnaire was designed to confirm and complete the framework and sent to relevant experts. The results of the study show that based on the reviewed studies, the use of time series models is the main method of determining the technical interest rate in insurance companies, but in some cases, structural models have also been used.But in Iran, the use of time series models for determination of technical interest rates are not mentioned by experts and the majority of experts support structural models that taking into account the economic variables including inflation, interest rates, exchange rates and gold respectively (in order of importance) to determine technical interest rates. In the field of supervision, although there are different patterns, but the use of interest rates on long-term bonds with the highest credit rating, has been the common denominator of all countries to determine the maximum technical interest rate. It seems that the high weighting of experts on the variables of inflation, exchange rate and gold in Iran is due to the sharp fluctuations in the value of the national currency, which is the outstanding difference between Iran and other countries under study. Finally,

Contagion in financial markets takes place both because of fundamental or non-fundamental reasons like herd behaviors that can increase market risk levels and even end in inefficient allocation of financial resources. Thus, understanding the contagion and its dynamics will be critical for the participants of financial market. Hence, using network-based epidemic modeling, the study examined the dynamics of contagion in the Iranian stock market from 2011 to 2019 and short-term and long-term scales. To this end, first the correlation network of 46 Iranian stock market groups was developed and then analyzed using short-term and long-term contagion dynamics simulations. The results showed that the extent and speed of contagion is much higher in the short-term than in long-term and in long-term a significant number of groups can be immune to the contagion. However, in long-term the rate of return to pre-contagion status is shorter than in short-term

The selection, transfer and development of technology is one of the main pillars of the upstream oil and gas industry. The process of selecting technology in Iran, due to the type of ownership and special importance of oil and gas resources, is considered as one of the main components in the upstream part of this industry. Technology selection is a mechanism that aims to achieve economic benefits. In order to achieve effective technology, transfer in this industry, it seems necessary in terms of indirect effect in addition to its direct effect. One of these effects on technology transfer that must be considered is the issue of technology overflow. The present study is based on the study method, according to the rules and available resources, and in line with previous studies. Finally, the present study aims to develop a conceptual model of economic evaluation, a quantitative structure of transfer technology in terms of overflow effect. Lack of impact of overflow is one of the main reasons for lack of impact of technology transfer in the country. If the effect of overflow is applied in technical and economic calculations and contractual cases in the selection and transfer of technology, it can improve the effectiveness of technology at various levels of industry and even at the national level.

This study determines the optimal investment portfolio of insurance companies by considering underwriting activities. investment decisions in insurance companies are affected by underwriting activities. In this paper, the investment optimization problem of insurers is modeled using the copula-based conditional risk value, taking into account the results of insurance activities. Also, since the emphasis is on tails of distribution, the probability distribution of variables in tails is estimated using Pareto distribution and in other parts of the distribution using the Empirical probability distribution. Data collected on monthly basis covers two periods in-sample, between 2006 to 2015 and out-of-sample, between 2016 to 2019.The findings show that the optimum portfolio includes eighty percent of risky assets (stock and real estate) and only twenty percent of risk-free assets (bank deposits) and it is outside the legal constraints set by Central Insurance Therefore, legal constraints prevent insurance companies from the optimal selection of investment portfolio. Also, the comparison of out-of-sample performance with in-sample performance of portfolios shows that portfolios based on copula functions have better and more robust performance than traditional models.

Companies can reduce their taxes or delay paying them through tax aggressive reporting. Various factors, including Political Management and Managerial efficiency, affect the tax reporting aggressiveness. In this regard, the present study aims to examine the effect of Political Management and Managerial efficiency for tax aggressive reporting as well as moderating effect of Political Management on the relationship between Managerial efficiency and tax aggressive reporting. In order to test the research hypotheses, 123 companies listed in Tehran Stock Exchange during 2009-2017 were investigated. In order to measure the Political Management, two models of Long - term debts and State - dependent board of directors is used; to measure Managerial efficiency, the Demerjian's model is used; to measure the tax reporting aggressiveness, the difference between declaration and diagnosis tax is used. In this research, correlation and multivariate regression methods with combined data model and generalized least squares estimation method are used. The results show that Political Management has a positive and significant relationship with tax aggressive reporting, but the Managerial efficiency has a negative and significant relationship with it. However, Political Management do not weaken the impact of Managerial efficiency to Tax reporting aggressiveness.

Due to the dynamics of the business world and due to the uncertainty in the current economic environment of the country, there are various risks in this environment that can affect the performance of companies.In this survey, the statistical population is accountants in companies admitted to the Tehran Stock Exchange and includes information from the year1400. For risk graphs two methods fuzzy ANP and network analysis have been used. Also a questionnaire related to pairwise comparisons was used and completed by10 experts in the field of stock exchange with more than10 years of work experience.The selection of people was carried out using the snowball method until theoretical saturation was reached.The obtained results were analyzed, ranked and clustered by the fuzzy ANP method. Also by using the topology method based on network theory, the shape related to the most important risks with their interactions has been drawn and by using the opinion of 10 experts of the pairwise comparisons department, the probabilities, the degree of influence of the risks have been determined and then the intensity of the effect has been determined and ranked.MATLAB 2022 and Excel 2016 software were used for this research. Also,the effectiveness of the most important risks has been determined. Inflation risks(179), liquidity(119), liquidity(80) as critical risks and political risks(72),human resources(52),credit(40) as key risks and operational risks(39) industry(32) interest rate(28), stock price(24) were classified as important risks.Therefore by identifying important risks with a high center of gravity, risks can be managed, and therefore suggestions have been made.

Knowing the financial, economic and political variables is very important for the decisions of financial market activists and investors, and not considering these variables causes disruption in decision making.This research has been written with the aim of how political risk influences corporate financing and investment decisions.

In the present research with practical purpose, the collected information related to 34 companies in the period of 2013-2016 have been analyzed using Eviews 11 software and in order to estimate the model related to Hypotheses, data pooling method and panel data have been used.

The findings showed that political risks and company-level and country-level factors affect companies' financing decisions. Also, the effect of political risks on financing decisions is different under different financing strategies such as debt and equity financing. Also, political risks and company-level and country-level factors have a negative and significant effect on corporate investment.

Originality/scientific added value: 

The financing of companies decreases due to political risk. Political risks have a negative effect on economic and financial activities. To avoid losses caused by sudden political shocks, companies use less financing in financial decision-making when they face high political risk. As a result, it causes a decrease in corporate investment and the entry of liquidity into the production sector and productive activities.

The importance of predicting and knowing the future in order to plan and formulate economic strategies is not hidden from anyone. The accuracy of forecasts is one of the most important factors in choosing the type of forecasting method. The stock price index is one of the effective variables in economic systems that these very complex time series are usually assumed to be random and as a result their changes are assumed to be unpredictable. Such time series variables have the property that the shock to the variable takes a long time to disappear due to the possibility of long-term memory. The aim of the present study was to test the fractal market hypothesis with the Markov regime change model with a possible combination and convergence in the Tehran Stock Exchange. In this paper, the amount of long-term memory and stability of financial time series resulting from the total stock market index for the period 1388-1386 were examined. For this purpose, first the existence of long-term memory was examined, then the fractal nature of the market was examined using the Harst view index. The results indicate the existence of long-term memory in this variable. In this case, with one differentiation, it becomes more differentiated, so the stock price index series in Iran has long-term memory and the effects of each shock on this variable due to its long-term memory remain for long periods. It stays. The results also showed that the overall stock market index is fractal.

The present study examines the resilience of financial technology businesses. Resilience is the determination of strategies that can prevent the occurrence of inefficiency and the collapse of businesses, or in the event of system inefficiency, return to the pre-failure state or more favorably with the shortest possible time. In addition, in this study, a comprehensive model of resilience of financial technology businesses and its introduction to the study community is presented. All failure modes that cause financial system inefficiencies for technology businesses include 12 failure modes that have been identified through the research literature and expert opinions. The statistical population of this research is managers and experts in the field of financial technology business and related groups in Tehran. In the analysis, FMEA technique has been used to determine resilience strategies in financial technology businesses before failure and new FAAO technique has been used to determine resilience strategies of financial technology businesses after failure. Through the FMEA technique, the experts selected the four failure modes with the highest score and risk priority (RPN) and introduced 25 strategies affecting financial technology businesses to deal with these failure modes. In addition, through the FAAO technique, 6 strategies were identified to make risk management resilient to failure.

This study evaluates the effect of financial policies on stock market investment in financial friction conditions. For this purpose, two models were designed based on financial policies (taxes and government expenditures) and in the period from 1991 to 2017, the short-term dynamic relationship, long-term state and error correction of the models were estimated with the Auto Regressive Distributed Lag (ARDL). The financial friction index is used in this study based on the definition of the interest rate gap (the difference between on the lending interest rate and the deposit interest rate). The results show that in terms of financial friction, fiscal policy had a significant and negative impact on the first model (tax based) and in the second model (based on government spending) a positive and significant effect on the total stock price index. This result is in line with Keynesian view. The financial friction index also had a negative effect on the total stock price index in both models. However, since taxation directly affects corporate liquidity, therefore, in fiscal policy based on tax revenues, the effect of fiscal friction on the dependent variable was more dependent on government spending than fiscal policy. The results of estimating the other variables in the models were that GDP based on Keynesian theory, oil revenues based on support theory and exchange rate in flow-oriented models had a significant and positive effect on the total stock price index.